COVID-19 and the march 2020 stock market crash. Evidence from S&P1500

Mieszko Mazur; Man Dang; Miguel Vega

doi:10.1016/j.frl.2020.101690

COVID-19 and the march 2020 stock market crash. Evidence from S&P1500

Financ Res Lett. 2021 Jan:38:101690. doi: 10.1016/j.frl.2020.101690. Epub 2020 Jul 9.

Authors

Mieszko Mazur¹, Man Dang², Miguel Vega¹

Affiliations

¹ IESEG School of Management (LEM-CNRS 9221), Parvis de la Défense, 92800 Puteaux, France.
² The University of Da Nang, University of Economics, 71 Ngu Hanh Son Street, Danang City 550000, Vietnam.

Abstract

This paper investigates the US stock market performance during the crash of March 2020 triggered by COVID-19. We find that natural gas, food, healthcare, and software stocks earn high positive returns, whereas equity values in petroleum, real estate, entertainment, and hospitality sectors fall dramatically. Moreover, loser stocks exhibit extreme asymmetric volatility that correlates negatively with stock returns. Firms react in a variety of different ways to the COVID-19 revenue shock. The analysis of the 8K and DEF14A filings of poorest performers reveals departures of senior executives, remuneration cuts, and (most surprisingly) newly approved cash bonuses and salary increases.